IMF Working Paper-From Stress to CoStress: Stress Testing Interconnected Banking Systems-continued

February 16, 2012--Summary: This paper presents an integrated framework for assessing systemic risk. The framework models banks' capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth.
The analysis is complemented by a simple measure of systemic risk, which captures tail risk comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which uses analytical techniques—similar to those applied in the insurance industry - to estimate banks’ credit portfolio loss distributions, making no assumptions about the cause of default.

view IMF Working paper-From Stress to CoStress: Stress Testing Interconnected Banking Systems

Source: IMF

Global ETP News
Geopolitical Risk Surges to Record High In New DTCC Survey
December 11, 2017--Geopolitical uncertainties in Asia, as well as prolonged uncertainties associated with Brexit negotiations, have positioned geopolitical risk as a top risk to watch in 2018, according to a new survey published by The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry.
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ETF Securities Weekly Flows Analysis-Precious metal flows bifurcated by gold and silver
December 11, 2017--Industrial metal ETPs saw the lion's share of outflows amounting to US$130.4mn, led by outflows from broad basket ETPs.
Precious metal ETP flows were polarised, as gold ETPs suffer the largest outflows while silver ETPs receive the largest inflows.
Crude oil ETP outflows persist for the 12th week in a row, largely driven by WTI crude oil ETPs.
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DECPG Global Weekly
December 8, 2017--Taking Stock
U.S. nonfarm job growth remained solid in November; service sector growth softened. U.S. nonfarm payrolls rose by 228,000 (m/m, sa) in November, above market expectations. Nonfarm employment for October was revised down from 261,000 to 244,000. The unemployment rate held steady at 4.1 percent.
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BlackRock Global ETP Landscape Monthly Snapshot-November 2017-Global ETP industry equity flow crossed $400bn in November
December 7, 2017--Global ETPs gathered $52.6bn in November, including $40.9bn in equity funds which drove year-to-date equity fund flows to $404.5bn, led this month by U.S. and broad developed markets (DM) equities and bolstered by fixed income
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Ultumus-Asia-Pacific & UK
December 7, 2017--Korea
Koomkin Bank lists Korean sector ETFs
Koomkin Bank's ETF arm KBStar is listing a suite of ETFs that track Korea's different sectors via indexes provided by Kospi....
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Governors and Heads of Supervision finalise Basel III reforms
December 7, 2017--The Basel Committee's oversight body, the Group of Central Bank Governors and Heads of Supervision (GHOS), has endorsed the outstanding Basel III post-crisis regulatory reforms.
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World Gold Council-Gold-backed ETFs increased by 9.1t in November to 2,357t in global holdings
December 6, 2017--Regional fund flows
Europe led inflows in November*, as investors added 15.8t (US$622mn, 1.5% AUM) of gold through funds listed in the region
There were outflows for a second month in a row in North America of 5.4t (US$198mn, 0.38% AUM)
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Hong Kong risks losing listings crown to New York
December 6, 2017--The Hong Kong Stock Exchange is on track to lose out to the New York Stock Exchange as the venue of choice for companies undertaking initial public offerings in 2017, after two consecutive years in the top spot.
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ETF Securities-Precious Metals Monitor--November 2017
December 6, 2017--Key Highlight
Gold: Even more relevant today as a risk management tool and store of value Against the current backdrop of stretched valuations, rising uncertainty, asset correlations, and record low volatility globally, gold demand as a risk overlay may continue to rise into 2018.
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Bitcoin Exchanges Are Buckling While the Price Surges Past $16,000
December 6, 2017--Largest exchange Coinbase tweets of service interruptions
Demand surging before futures contracts begin trading
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Bitcoin extends gains, rises above $12,000 to record high
December 5, 2017--Bitcoin retained its overnight momentum and rose to a record high of $12,205.46 on Wednesday, continuing its rally from below $1,000 at the year's start.
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Pensions reforms have slowed in OECD countries but need to continue
December 5, 2017--Further reforms are needed across OECD countries to mitigate the impact of population ageing, increasing inequality among the elderly and the changing nature of work, according to a new OECD report.
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ETF providers better bet than products they sell
December 5, 2017--BlackRock, State Street and Invesco have all outperformed the market.
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World Gold Council-Market update: Technology-a brighter outlook?
December 5, 2017--Changes are afoot in the technology sector. Smartphones are becoming increasingly powerful, electric and self-driving vehicles could revolutionise the automotive industry, and emerging nanotechnology could transform solar energy. All of this could have a positive impact on gold demand.
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ETF Securities Weekly Flows Analysis-Record inflows into Robotics ETPs
December 4, 2017--Robotics-related ETPs saw inflows of US$51mn last week, the largest weekly inflow on record
US dollar long positions have seen outflows of US$40mn over the last two months
Agricultural ETPs saw outflows of US$40mn last week, focused on wheat and corn
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Morgan Stanley Undercuts Rivals With Robo
December 4, 2017-The wirehouse launches Access Investing service with a fee of 0.35% per year and a $5,000 account minimum
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BetaShares-Gift that keeps on giving
December 3, 2017--Week in Review
Not even another North Korean missile could hurt markets last week, with Wall Street instead buoyed by the prospect of the US tax the tax cut. The Senate's final vote came after the market's close-so will likely be (yet another) positive tax story for markets on Monday.
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December 2017 BIS Quarterly Review: Paradoxical tightening echoes bond market "conundrum"
December 3, 2017--Markets shrugged off moves by some major central banks to wind back stimulus over the last quarter: global financial conditions paradoxically eased further amid heightened concerns about overvalued asset prices.
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Global regulatory body to launch fresh probe into ETFs
December 2, 2017--Iosco will examine if rapid rise of $4tn sector will lead to serious market distortions.
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Infographic-The Latte Index: Using the Impartial Bean to Value Currencies
December 1, 2017--Like any other market, there are many opinions on what a currency ought to be worth relative to others.
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IMF Working paper-Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France
December 1, 2017--Summary:
How can information on financial conditions be used to better understand macroeconomic developments and improve macroeconomic projections? We investigate this question for France by constructing country-specific financial conditions indices (FCIs) that are tailored to movements in GDP, investment, private consumption and exports respectively.
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DECPG Global Weekly
December 1, 2017--TAKING STOCK
U.S. Q3 GDP growth was revised up; inflation remained subdued in October
Euro Area inflation picked up in November; unemployment rate fell
Japan core inflation edged up in October; industrial production rebounded
China's official PMIs increased in November
Oil producers agreed to extend oil production cut to 2018
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What is a Hedge Fund?
November 30, 2017--For many entry-level investors, hedge funds are shrouded in mystery and exclusivity.
It's common, for example, for media coverage to focus on the ultra-wealthy founders and CEOs of hedge funds, such as Ray Dalio or Bill Ackman, as well as their secretive investing strategies or exclusive clientele.
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Ultumus-Private Equity ETF
November 30, 2017--USCF Advisers is listing two new ETFs that aim to track companies likely to be of interest to private equity firms.
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ETF Securities-Investment Insights November 2017 Disruptive themes behind future commodity demand
November 29, 2017--Summary
As energy efficiency drives renewable energy and battery technology demand, silver and nickel usage may see boost.
Automation and technology integration may benefit copper.
Climate change may continue to impact global agriculture. If you trace the evolution of commodities over time, the economically dominant commodity sector tends to follow structural shifts in technology and growth.
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World Bank-Cities in Eastern Europe and Central Asia: A Story of Urban Growth and Decline
November 29, 2017--The urbanization experience of countries across Eastern Europe and Central Asia is quite unique, and for several reasons.
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Bitcoin sheds $700 in an hour as volatility returns
November 29, 2017--Bitcoin shed more than $700 in an hour on Thursday morning, extending the volatility that saw it whipsaw from a bull market to a bear and back again yesterday evening.
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BetaShares-HACKED! The investment opportunity in the world's fastest growing threat
November 29, 2017--Uber, the ride sharing company, was caught out last week after it was discovered they had paid US$100,000 to cybercriminals in October 2016, following the theft of 57 million customer and driver records worldwide.
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FTSE Russell launches two new index series to support ESG integration into passive investment
November 29, 2017--FTSE Russell launches new FTSE Global Climate Index Series and FTSE ESG Index Series
Index series utilize data from FTSE Green Revenues data model and FTSE ESG Ratings and data model
Helps investors incorporate the transition to a global green economy into core benchmarks and passive investments
Combines sustainable investing with innovative approach to factor index construction-Smart Sustainability
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The Benefits of Trader Augmentation
November 29, 2017--$15-20 billion dollars is spent annually on RegTech by fixed-income trading desks in the US and Europe
While fixed-income dealers are finally coming out from underneath the crush of the financial crisis, budget cuts and regulatory burdens continue to impact their ability to effectively service clients.
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Cybersecurity: Fighting a Threat That Causes $450B of Damage Each Year
November 28, 2017--With recent high profile hacks of companies such as Uber, Equifax, and HBO, it's safe to say that cybersecurity is already top of mind for many of the world's biggest companies.
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OECD sees global economy strengthening, but says further policy action needed to catalyse the private sector for stronger and more inclusive growth
November 28, 2017--The world economy has strengthened, with monetary and fiscal stimulus underpinning a broad-based and synchronised improvement in growth rates across most countries, according to the OECD's latest Economic Outlook.
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Bubble trouble? Bitcoin tops $11,000, but fades after sharp rally
November 28, 2017--Bitcoin zoomed past $11,000 (£8,185.5) to hit a record high for the sixth day in a row on Wednesday after gaining more than $1,000 in just 12 hours, stoking concerns that a rapidly swelling bubble could be set to burst in spectacular fashion.
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Infographic-Visualizing the Journey to $10,000 Bitcoin
November 27, 2017--It has been a breakthrough year for the world's original cryptocurrency. At time of publication, the bitcoin price is at $9,650-about 10X higher than how the cryptocurrency started the year.
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ETF Securities Weekly Flows Analysis-Green means go for industrial metals
November 27, 2017--Industrial metal ETPs recorded the largest weekly inflows since summer 2014.
Robotic ETP continues to record inflows on better-than-expected earnings seasons.
Gold and oil ETPs recorded outflows as price continue to rise.
Inflows into silver ETPs, benefitting from the attractiveness of industrially based metals.
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ESG investing and smart beta combination grows in popularity
November 27, 2017--A "niche of a niche" is one description of the combination of socially responsible investment with smart beta factors.
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Bitcoin surges further above $9,000
November 26, 2017--The price of the cryptocurrency Bitcoin has risen more than 12% in the last week, moving past $9,000 early Sunday morning to yet another in a long string of all-time highs.
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STOXX PULSE ONLINE-Factor Investing and the Search for Uncorrelated Premium Returns
November 24, 2017--In this issue
Europe's Tech Stocks Add to Industry's Global Rally The STOXX® Europe 600 Technology Index is leading gains this year amid surging demand for chips and business software. view more
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Ultumus-Boost Boosts ETF Offering & Samsung lists more covered call ETNs
November 24, 2017--Germany, UK and Italy
Boost lists leveraged government bond ETPs
WisdomTree-owned Boost is listing three inverse government bond ETPs in Germany, Italy and the UK. They will allow investors to make money as yields decline. They are:
Boost Bund 30Y 3x Short Daily ETP (3UBS:IM, XMWH:GR)
Boost Gilts 10Y 1x Short Daily ETP (1GIS:LN)....
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WisdomTree-Why OPEC's supply cut extension is structurally bullish for oil
November 24, 2017--Investors holding a 3x leveraged oil ETP would have gained over 15% in the first week of November-more than 3x the return of front-month oil futures over the same period.
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IOSCO report provides new data on global hedge fund industry
November 23, 2017--IOSCO report provides new data on global hedge fund industry The Board of the International Organization of Securities Commissions (IOSCO) today published its Report on the Fourth IOSCO Hedge Fund Survey, which provides regulators new insights into the global hedge fund industry and the potential systemic risks this industry may pose to the international financial system.
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Ultumus-Nomura, Horizons, Mackenzie, PowerShares, First Trust, & Franklim Templeton
November 22, 2017--Japan
Next Funds lists a string of ETFs in Tokyo
Japanese money managing giant Nomura is listing a suite of international ETFs in Tokyo through its Next Funds brand. They are:
NEXT FUNDS Japan Bond NOMURA-BPI ETF (2510)
NEXT FUNDS International Bond Citi WGBI ex Japan Unhedged ETF (2511)
NEXT FUNDS International Bond Citi WGBI ex Japan Yen-Hedged ETF (2512)....
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Solactive report finds U.S. robo-advisors invest more aggressively than their German counterparts
November 22, 2017--Solactive is happy to announce that its report on robo-advisors, Robo-Advisory: A closer look at the engine room, has been published and is now available online. The report looks at some of the questions associated with the growing robo-advisory trend, mainly related to transparency, historical performance, and asset allocation by studying robo-advisors in the U.S. and Germany.
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BIS-Further details on the assessment of global systemically important banks
November 21, 2017--In connection with today's publication by the Financial Stability Board of the updated list of global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision has released further information related to the 2017 G-SIB assessment.
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EY-Majority of asset managers expected to offer ETFs in next five years
November 21, 2017--Exchange-traded fund (ETF) market on track to reach US$7.6t by end of 2020
15% to 25% of ETF inflows over next three years expected to come from new investors
Innovation to meet investor preferences crucial to sustainable industry growth
Two-thirds (67%) of respondents interviewed for the EY report Global ETF Research 2017: reshaping around the investor believe most managers will have an ETF offering in the next five years.
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Big commodity traders to seek scale in pursuit of prosperity
November 21, 2017--Consultant report finds size will matter as revenues and margins come under pressure
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Ultumus-Chile, Israel, Australia and more...
November 21, 2017--South American ETFs!
Chile
EuroAmerica lists small cap ETF
South America has the second smallest ETF market, ahead of only Africa. But the market is about to get one larger thanks to the Chilean issuer EuroAmerica listings the EuroAmerica MSCI Chile Small Cap ETF (EASCCHI)....
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World Economic Forum-The rise of Bitcoin doesn't mean the end of banks. Here's why
November 20, 2017--A common idea about the blockchain, the technology that powers Bitcoin and other cryptocurrencies, is that it can "create trust", or allow two parties to make a transaction "without relying on trust".
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Eurex Clearing's partnership program gains broad market support
November 20, 2017--Eurex Clearing's offer to accelerate the development of a liquid, EU based alternative for the clearing of interest rate swaps gains broad market support.
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Russell/Nomura Total Market Index adds 151 new firms in annual reconstitution
November 20, 2017--FTSE Russell and Nomura Securities Co., Ltd. today announced that 151 new stocks were added to the Russell/Nomura Total Market Index, which captures 98% of the float-adjusted market capitalization of the Japanese equity market, as part of the annual reconstitution process on 20 November 2017.
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Legal & General looks to expand in US
November 19, 2017--Strategy is based on using its two big existing businesses as a foundation for a third.
read more
DECPG Global Weekly
November 17, 2017--Taking Stock
U.S. core inflation edged up in October; industrial production expanded strongly. The U.S. core consumer prices-which excludes food and energy prices-rose 1.8 percent (y/y) in October, after recording a 1.7 percent increase in each of the five preceding months.
read more
Fork talk lifts bitcoin to all-time high near $8,000
November 17, 2017--Bitcoin hit an all-time high just below $8,000 on Friday, on talk that a software upgrade whose suspension sent the cryptocurrency into a tailspin at the end of last week was, after all, going ahead within hours.
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iSTOXX Global Economic Growth Select 50 Index licensed to Citi
November 17, 2017--STOXX Ltd., the operator of Deutsche Boerse Group's index business, and a global provider of innovative and tradable index concepts, today introduced the iSTOXX Global Economic Growth Select 50 Index. It was licensed to Citi as an underlying for structured products.
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Thomson Reuters-Estimated Net Flows Into ETFs Eclipse Those Into Conventional Funds for October
November 16, 2017--Conventional mutual fund investors continued their search for yield in October, padding the coffers of fixed income funds, while authorized participants (APs-those investors that actually create and redeem ETF shares) remained risk-seeking.
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A Rebalancing China and Resurging India: How Will the Pendulum Swing for Russia?
November 16, 2017--Russia Pivots Towards China and India
Like most countries, Russia's economic prospects are closely linked to its ability to export and penetrate new dynamic markets. While both Europe and the Commonwealth of Independent States (CIS) remain the main destinations for Russia's exports, the country is beginning to strengthen its economic relationships with important new dynamic markets such as China and India.
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Industrial Commodities Prices Should Stabilize in 2018 After This Year's Gains
November 16, 2017--Prices for industrial commodities-energy and metals-are forecast to level off in 2018 after steep gains this year, while agricultural prices are anticipated to remain soft.
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IMF Working Papers-Booms, Crises, and Recoveries: A New Paradigm of the Business Cycle and its Policy Implications
November 16, 2017--Summary:
All types of recessions, on average, not just those associated with financial and political crises (as in Cerra and Saxena, AER 2008), lead to permanent output losses.
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IMF Working paper-Fear Thy Neighbor: Spillovers from Economic Policy Uncertainty
November 15, 2017--Summary:
High levels of economic policy uncertainty in various parts of the world revamped the debate about its impact on economic activity. With increasingly stronger economic, financial, and political ties among countries, economic agents have more reasons to be vigilant of foreign economic policy. Employing heterogeneous panel structural vector autoregressions, this paper tests for spillovers from economic policy uncertainty on other countries' economic activity.
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IMF Working Papers-Basel III and Bank-Lending: Evidence from the United States and Europe
November 15, 2017--Summary:
Using data on commercial banks in the United States and Europe, this paper analyses the impact of the new Basel III capital and liquidity regulation on bank-lending following the 2008 financial crisis.
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The Conflict-Free Gold Standard: Building an industry coalition to address the challenges of conflict gold
November 15, 2017--Cranfield School of Management and the Corporate Responsibility Initiative at Harvard Kennedy School launched a joint report examining the creation of the Conflict-Free Gold Standard by the World Gold Council.
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IMF Working Papers-The Slowdown in Global Trade: A Symptom of A Weak Recovery
November 15, 2017--Summary:
Global trade growth has slowed since 2012 relative both to its strong historical performance and to overall economic growth.
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IEA-A world in transformation: World Energy Outlook 2017
November 14, 2017--The resurgence in oil and gas production from the United States, deep declines in the cost of renewables and growing electrification are changing the face of the global energy system and upending traditional ways of meeting energy demand, according to the World Energy Outlook 2017.
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Ultumus-Paradigm lists leveraged in Taiwan, PowerShares lists fixed income in UK
November 14, 2017--Asia
Paradigm lists leveraged oil ETFs
Taiwanese issuer Paradigm has listed two new ETFs in Taiwan that give inverse and leveraged exposure to oil futures. They are:
Paradigm S&P GSCI Brent Crude 2X Leveraged ER Futures ETF (00715L)
Paradigm S&P GSCI Brent Crude 1X Inverse ER Futures ETF (00716R)
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OPEC-Monthly Oil Market Report-November 2017
November 13, 2017--Oil Market Highlights
Crude Oil Price Movements
The OPEC Reference Basket averaged $55.50/b in October, gaining $2.06 over the previous month and reaching the highest value in more than two-and-a-half years, with a year-to-date average of $50.68/b.
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World Gold Council-Gold-backed ETF holdings increased by 3.3t in October
November 13, 2017--Our monthly analysis of gold-backed ETFs and similar products, provides detailed information and insight on global trends of gold investment demand through ETFs.
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WisdomTree acquires European ETF business in $611m deal
November 13, 2017--Deal boosts WisdomTree's total assets to $66 billion, making it the ninth largest ETF shop in the world.
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